FBX changes every release, and it has known bugs in each version. It seems as if, for some reason, Autodesk just can't get it right. You'd think they'd solicit some number of test models from different real-life studios (for film and games), and verify that they transfer correctly with each file format with each version, but as far as I can tell, that doesn't happen.
First, you need to apply the reset xform modifier before you apply Physique or the Skin modifier. You also need to remove scale from all your bones, before binding to the skin. If you haven't, this means that you have to un-bind your skeleton/modifier, reset the mesh and the skeleton bones, and then re-bind/re-weight the mesh. Yeah, that's a drag.
Second, you need to experiment with the different parameters, export parameters like "make Y up," scaling, etc as well as import parameters like "flip winding," scaling or rotation.
Third, if you still can't get it to work, when I got annoyed that it just wouldn't work, I wrote my own exporter:
kW X-port. As far as I can tell, it is the least buggy, most complete way to get animated characters from 3ds Max 9/2008/2009 into XNA Game Studio. Coulped with
kW Animation it actually makes for a useful animation system. As far as I can tell, people using FBX and/or the Skinning Sample end up running into a lot more limitations than I've run into with those libraries. However, kW Animation is not for the beginner -- it doesn't come with tutorials or hand-holding.
